中国金融机构利率衍生产品交易:业务体系的框架性设计

本文在考察各国中央银行衍生产品交易监管法规的基础上,结合中国金融市场的各种特征与发展趋势,对中国金融机构开办利率衍生产品交易所需的业务体系框架进行了总体性设计,对业务体系中的市场风险控制、信用风险控制等关键问题结合中国实际提出了解决思路与具体规划。     

Aggregating risk capital, with an application to operational risk

We describe a numerical procedure to obtain bounds on the distribution function of a sum of n dependent risks having fixed marginals. With respect to the existing literature, our method provides improved bounds and can be applied also to large non-homogeneous portfolios of risks. As an application, we compute the VaR-based minimum capital requirement for a portfolio of operational risk losses. JEL Classification G20 · 60E15 · 91B30     

信息替换、制度变迁与金融风险

本运用信息经济学和制度经济学的基本原理,阐述了金融风险的经济学逻辑,并说明了金融风险与制造度变迁是如何相互推进的。     

国有股权、经营风险、预算软约束与公司业绩:中国上市公司的实证发现

以中国上市公司为例,本文首次采用分量回归模型实证分析了国有股权对公司业绩的复杂影响。我们发现:在经营表现较差的上市公司,国有股东监督内部人的积极作用超过了行政或政治干预公司经营的消极作用;而在经营表现较好的上市公司,以上作用没有显著差异。源自国有股权并受经营风险影响的上市公司的预算软约束预期损害了所有公司的业绩。与经营表现较好的公司相比,在经营表现最差的公司,国有股东监督内部人的积极作用以及国有股权导致的预算软约束预期的消极作用都更为显著。虽然国有股权对公司业绩影响的净效果在所有上市公司中都为负,但在业绩最差的上市公司里负面作用最为突出。政策含义在于国有股权的调整应当从业绩最差的上市公司开始。     

Assessing optimal credit growth for an emerging banking system

The paper sets forth a novel way to estimate the optimal level of credit growth for an emerging banking system. Contrary to the traditional credit-to-GDP gap indicator, credit growth is considered to be optimal when it does not accelerate credit risk measured by loan loss provisions. We provide empirical support for modelling the provision charge ratio dynamic by the quadratic function of the credit growth deviation from its optimal level. The operational framework consists of a simplified financial satellite with two equations representing credit growth and change in the provision charge ratio. Our empirical results show that a 3 percent (±1 pp margin) quarterly increase in credit to the private sector is, in nominal terms, optimal for financial stability and sustainable growth in Romania.     

Contribution of suppression difficulty and lessons learned in forecasting fire suppression operations productivity: A methodological approach

We propose an economic analysis using utility and productivity, and efficiency theories to provide fire managers a decision support tool to determine the most efficient fire management programs levels. By incorporating managers’ accumulated fire suppression experiences (capitalized experience) in the analysis we help fire managers determine fire suppression productivity and efficient budget allocation. Furthermore, monitoring of the management index (MI) helps identify operational deficiencies in the different districts where the analysis is applied. This is so because internally the area contraction factor (ACF) provides information regarding the effectiveness of fire suppression operations by including a comparison ratio between the area affected and the potential fire area without suppression actions. We used the Almonaster fire that occurred in 2008 in the Huelva Province, Spain as a case study to test the applicability of the methodology. Our evaluation showed that the combinations of firefighting resources assigned to the Almonaster fire resulted in a fire suppression efficiency of only 33%, measured as the ratio between damages avoided and suppression costs involved.     

浅探我国保险公司操作风险的监测应对

我国对于保险公司操作风险管理的理论研究和公司实践可以说是一片尚待开垦的处女地,而现实中保险公司操作风险频发又突显了对其进行研究探索的必要和紧迫性.本文通过合理借鉴国外保险公司所积累的经验,结合我国保险公司实情,对我国操作风险的监测与应对进行了探讨,以期能为我国保险公司的监管者和管理者提供借鉴.     

The contingency effects of environmental uncertainty on the relationship between supply chain integration and operational performance

This paper extends prior supply chain research by building and empirically testing a theoretical model of the contingency effects of environmental uncertainty (EU) on the relationships between three dimensions of supply chain integration and four dimensions of operational performance. Based on the contingency and organizational information processing theories, we argue that under a high EU, the associations between supplier/customer integration, and delivery and flexibility performance, and those between internal integration, and product quality and production cost, will be strengthened. These theoretical propositions are largely confirmed by multi-group and structural path analyses of survey responses collected from 151 of Thailand's automotive manufacturing plants. This paper contributes to operations management contingency research and provides theory-driven and empirically proven explanations for managers to differentiate the effects of internal and external integration efforts under different environmental conditions.     

美国信用衍生品交易监管立法的评述及对我国的启示与借鉴

本文对信用衍生品交易监管现状作概述后,介评了美国7月通过的包含信用衍生品在内的金融衍生品交易监管立法,我国也于2010年11月开始信用衍生品交易试点.本文提出了制定统一的金融衍生品交易监管法、完善金融监管协调机制、对交易者分层审慎监管、逐步引进集中清算方式、改进信用衍生品监管信息披露要求、适时修改相关监管规则以鼓励银行...     

企业与环境非政府组织联盟的风险及其防范初探

近年来,企业与环境非政府组织建立的绿色联盟大量涌现,已有研究大多对企业与非政府组织协同创造竞争优势的机理进行了深入探讨,但是对绿色联盟所蕴含的风险及其防范对策研究不足.由于企业与非政府组织在组织属性上存在根本差异,绿色联盟也给企业带来了很多潜在风险.本文分析了绿色联盟的风险,并提出相应的风险防范措施.